Consider this code fragment:

void foo()
{
  while (true) {
   bar();
   baz();
  }
}

When foo calls bar(), and bar has not yet returned, does foo continue executing? Does baz get called before bar returns?

No, it does not.

The basic structure of the C/C++ language imposes sequential execution. Control does not return to the foo function until bar returns control, either by reaching the end of the function or by an explicit return.

Commenter Norman Diamond asks a bunch of questions, but they're all mooted by the first:

I can't find any of the answers in MSDN, and even an answer to one doesn't make answers to others obvious.

Unless failures occur, the DialogBox function doesn't return until the new dialog's DialogProc calls EndDialog. It starts its own message loop. Dkring this time the hwndParent (i.e. owner not parent) window is disabled. However, disabling doesn't prevent delivery of some kinds of messages to the parent window's WindowProc or DialogProc, and doesn't prevent delivery of any messages to the application's main message loop, right? So aren't there two or more message loops running in parallel?

As long as the function DialogBox has not yet returned, control does not return to the application's main message loop, since it is the one which called DialogBox (most likely indirectly).

MSDN doesn't explain this because it is a fundamental property of the C and C++ languages and is not peculiar to Win32.

Disabling a window does not prevent it from receiving messages in general; it only disables mouse and keyboard input. This is called out in the opening sentence of the EnableWindow function documentation:

The EnableWindow function enables or disables mouse and keyboard input to the specified window or control.

Messages unrelated to mouse and keyboard input are delivered normally. And they aren't dispatched by the application's main message loop because, as we saw above, the main message loop isn't executing!

I would recommend reviewing a book that covers the basics of Win32 GUI programming, since there appear to be some fundamental misunderstandings. Since I try to target an advanced audience, I generally assume that everybody understands the basics and is ready to move on to the intermediate and advanced topics. If you have trouble with the basics, you should work on that part first.